CVaR sensitivity with respect to tail thickness
نویسندگان
چکیده
منابع مشابه
CVaR sensitivity with respect to tail thickness
We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR sensitivity with respect to the scale parameter for stable Paretian, the Student’s t, and generalized Gaussian laws and discuss implications for the modeling o...
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Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios. We consider the problem of improving marginally portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study the relative significance of standard deviation, mean, tail thickness, and skewness in a parametric setting assuming a Student’...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2013
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2012.11.010